This сhapter focuses on the assessment and management of ALM risks: liquidity risk and interest-rate risk. The first part is devoted to liquidity risk: various types of liquidity risk, its sources, measures, and the principles of liquidity risk management, as well as scenarios for stress...

Integrated risk management means the comprehensive and effective management all significant risks (affecting the bank's activities) and their interrelation, including building a corporate culture of risk management and integrating risk management into strategic planning. The significant risks...

The first chapter, which is joint work with Anders B. Trolle, analyzes whether liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). The analysis is based on a factor pricing model and a tradable liquidity factor that is constructed from returns on index...

The second chapter, which is joint work with Pierre Collin-Dufresne and Anders B. Trolle, analyzes transaction costs in the dealer-to-customer (D2C) and dealer-to-dealer (D2D) segments of the post-Dodd-Frank index CDS market. Dodd-Frank regulations that made all-to-all trading possible had the...

The third chapter documents a decline of transaction costs and profits from liquidity provision in the index CDS market over a two-and-a-half-year period during which Dodd-Frank regulations were implemented. Transaction costs and profits from liquidity provision declined around the introduction...

This paper describes liability risk management of Central European banks located in the Czech Republic, Slovakia, Poland, Austria and Hungary. We find that liabilities of the analysed banks have similar features and report similar exposure to both liquidity and interest rate risks. Additionally,...